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Tails of subordinated laws: The regularly varying case

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  • Geluk, J. L.

Abstract

Suppose Xi, I = 1, 2, ... are i.i.d. positive random variables with d.f. F. We assume the tail d.f. to be regularly varying with 0 x) as x --> [infinity] where SN = [Sigma]N1Xi and N,Xi(i >= 1) independent with [Sigma][infinity]n=0P(N = n)xn analytic at x = 1 is studied under an additional smoothness condition on F. As an application we give the asymptotic behaviour of the expected population size of an age-dependent branching process.

Suggested Citation

  • Geluk, J. L., 1996. "Tails of subordinated laws: The regularly varying case," Stochastic Processes and their Applications, Elsevier, vol. 61(1), pages 147-161, January.
    • Handle: RePEc:eee:spapps:v:61:y:1996:i:1:p:147-161
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    References listed on IDEAS

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    1. Geluk, J. L., 1992. "Second order tail behaviour of a subordinated probability distribution," Stochastic Processes and their Applications, Elsevier, vol. 40(2), pages 325-337, March.
    2. Omey, E. & Willekens, E., 1986. "Second order behaviour of the tail of a subordinated probability distribution," Stochastic Processes and their Applications, Elsevier, vol. 21(2), pages 339-353, February.
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    Cited by:

    1. Lin, Jianxi, 2012. "Second order asymptotics for ruin probabilities in a renewal risk model with heavy-tailed claims," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 422-429.
    2. Jianxi Lin, 2012. "Second order Subexponential Distributions with Finite Mean and Their Applications to Subordinated Distributions," Journal of Theoretical Probability, Springer, vol. 25(3), pages 834-853, September.
    3. Kortschak, Dominik & Albrecher, Hansjörg, 2010. "An asymptotic expansion for the tail of compound sums of Burr distributed random variables," Statistics & Probability Letters, Elsevier, vol. 80(7-8), pages 612-620, April.
    4. Geluk, J. & de Haan, L. & Resnick, S. & Starica, C., 1997. "Second-order regular variation, convolution and the central limit theorem," Stochastic Processes and their Applications, Elsevier, vol. 69(2), pages 139-159, September.
    5. Barbe, Ph. & McCormick, W.P. & Zhang, C., 2007. "Tail expansions for the distribution of the maximum of a random walk with negative drift and regularly varying increments," Stochastic Processes and their Applications, Elsevier, vol. 117(12), pages 1835-1847, December.

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